AVP, VP Quant Risk – Economic Capital, Credit Risk, Market Risk – Top-tier Investment Bank
JOB DESCRIPTION
We are working with a top tier bank’s economic capital quant risk management team, looking for highly quantitative statistical modelers to join the Economic Capital team. You will be working in a very collegial setting, where individuals make valuable contributions. The AVP/VP level candidate will also have the responsibilities of developing Basel-compliant econometric solutions and keeping abreast with regulations and best practices. The team’s coverage is on an enterprise-wide basis: credit and market risk for cross-asset classes.
Location: New York, NY, USA
Responsibilities:
- Calculating Economic Capital for credit and market risk, and developing enhancing EC methodologies
- Conducting econometric and statistical analysis of credit data
- Keeping abreast with latest research and white papers on credit risk parameters developing methods to calculate value of parameters that meet Basel 2 and other regulatory requirements
- Performing stess testing, backtesting, sensitivity analysis, scenario analysis, etc.
- Interacting with lines of businesses, senior management, auditors, and regulators to assist in the reporting and discussion of models, methodologies, improvements, etc.
Requirements:
- Strong academic background with an MSc or PhD from a reputable quant school
- Minimum 3-4 years industry experience in econometric or statistical risk modeling, specifically for economic capital calculations
- Experience in developing risk modeling methodologies (specifically credit risk, market risk, economic capital)
- Must have solid understanding of cross-asset derivatives, derivative pricing models
- Experience with Basel II rules, and experience with regulatory interactions preferred
- Experience with development and maintenance of stress testing models.
- Excellent communication skills (written and verbal)
- Proficiency with statistical modeling software: SAS, R, SQL, Matlab; C++, Java preferred
In Return:
- A huge opportunity to join a leading quantitative team in a top banking institution
- Very analytical and quantitative exposure
- Excellent opportunity for career progression and professional growth
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
Key words: Enterprise Risk, Credit Risk, Market Risk, Quantitative Risk, Risk Management, Risk Modeling, Risk Methodologies, Stress Testing, Economic Capital, EC, Derivatives, Derivative Pricing, Risk Models, Basel, Scenario Analysis, Regulatory Risk, R, SAS, SQL, Matlab, New York, USA
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
Search Consultant: Kasey Churchill
Contact Telephone Number: 310-807-5030
Linked In: http://www.linkedin.com/e/vgh/1615777
Website: www.G-Q-R.com
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Quant, GQR Global Trading, GQR Global Markets
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